Thanks a lot, Zokidoki, this looks promising. I'll see if it works for me and update the post.

Could somebody suggest good quadratic optimization code with linear constraints in Java (nice convex problem)? Thanks a lot!

the payoff is p=max( S_t-30 * (1-L) - S_t, 0 ) where L is max loss, e.g. L=0.2

<t>Outrun,Spot on - the only case the option makes sense is when it is forward start.The strike changes every day throughout the life of an option. Today the strike is equal to the index level 30 days ago, tomorrow it will change again to be 30 day ago closing index level, etc. The option is america...

Terror,Thanks a lot for the hint.I saw Daily Natural Gas traded on NYMEX, but the one you mean is probably different...I PM'd you and would be very grateful valuation methodology!Thanks again,Karhu

does it exist?regular put option in all respects except that the strike is changing every day and is set to index level one month ago...any references will be much appreciated!

<t>I used to fly in a dream quite often. It is amazing. I wonder where the mind "recollects" this feeling from... rollercoasters, swings?I also get sleep paralysis sometimes. It is terrifying indeed. I think in China they say a ghost sits on your chest... I usually am aware of my breathing in these ...

Nobody here uses MC for optimization?...

Shoot me a pm, I might be able to help you...

What do people think about resampling methods for optimization (Jorion, Michaud)? On one hand, one can show that it produces inefficient portfolios, on the other hand empirical results are strong...

Anybody has any good/bad things to say about it?

QuoteOriginally posted by: ppauperQuoteOriginally posted by: karhuI was taking FRM together with the last year of CFA, and the overlap with the overall CFA program was at least 80%meaning 80% of FRM is covered in the CFA program ?I would say so.

<t>I took FRM two years ago - maybe they made it tougher.Possibly the people you spoke to have a non-finance background - Jorion provides a review only. The other reason, these people could be out of school for a while and test taking IS a skill, which does go away as time passes. In any case it is ...